Module Details

BE356-7-SP-CO: Financial Modelling

Year: 2016/17
Department: Essex Business School
Essex credit: 20
ECTS credit: 10
Available to Study Abroad / Exchange Students: No
Full Year Module Available to Study Abroad / Exchange Students for a Single Term: No
Outside Option: No

Staff

Supervisor:

Prof Simon Price

Teaching Staff:

Prof Simon Price and Dr Dimitris Korobilis

Contact details:

Email: s.g.price@essex.ac.uk

Module is taught during the following terms

Autumn

Spring

Summer

Module Description

The purpose of this module is to provide an introduction to selected topics in financial econometrics that may be useful for financial research.

AIMS

The main aims of the module are:

1. to enable students to acquire the skills and techniques necessary to understand and critically evaluate the research areas covered;
2. to enable students to develop and apply a subset of those skills and techniques in coursework.

OBJECTIVES

This module enables students to be able:

1. to understand to understand and apply the following methods: basic statistical procedures and matrix algebra, hypothesis testing techniques, maximum likelihood estimation, VARs, SUR, cointegration, high-frequency data analysis, ARCH and GARCH and MGARCH, tests of the EMH, predictability of asset returns, long horizon regressions, time variation in returns, forecasting and forecast evaluation, panel methods including fixed and random effects, dynamic micro and macro panels and cross-sectional dependence
2. to be familiar with MATLAB and be able to implement financial applications

Skills for your professional life (Transferable Skills)

The course will deliver several skills that will be useful in your future professional life. These include